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\begin{equation*}\hat{\textbf{P}_{k|k}} = \textbf{P}_{k} = \textbf{E}\{(\textbf{x}_{k} - \hat{\textbf{x}}_{k|k})(\textbf{x}_{k} - \hat{\textbf{x}}_{k|k})^{T}\} \end{equation*}
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